Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1016 |
| Annualized Std Dev | 0.2429 |
| Annualized Sharpe (Rf=0%) | 0.4185 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3488.0000 |
| NAs | 1.0000 |
| Minimum | -0.1156 |
| Quartile 1 | -0.0062 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0079 |
| Maximum | 0.1002 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0002 |
| Stdev | 0.0153 |
| Skewness | -0.4505 |
| Kurtosis | 7.6882 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0112 |
| Gain Deviation | 0.0105 |
| Loss Deviation | 0.0122 |
| Downside Deviation (MAR=210%) | 0.0156 |
| Downside Deviation (Rf=0%) | 0.0110 |
| Downside Deviation (0%) | 0.0110 |
| Maximum Drawdown | 0.5309 |
| Historical VaR (95%) | -0.0228 |
| Historical ES (95%) | -0.0369 |
| Modified VaR (95%) | -0.0242 |
| Modified ES (95%) | -0.0477 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-06 | 2009-03-09 | 2012-09-13 | -0.5309 | 1078 | 190 | 888 |
| 2020-02-20 | 2020-03-23 | 2020-10-09 | -0.3660 | 163 | 23 | 140 |
| 2014-06-23 | 2015-09-28 | 2016-04-26 | -0.2313 | 465 | 320 | 145 |
| 2018-09-21 | 2018-12-24 | 2019-02-25 | -0.1969 | 106 | 65 | 41 |
| 2007-10-10 | 2008-01-23 | 2008-05-28 | -0.1913 | 159 | 72 | 87 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | 0.8 | -0.3 | 0.6 | 1.3 | 1 | -2.4 | -0.1 | -0.4 | 0.4 |
| 2008 | 3.4 | -2.3 | 3.1 | 1.9 | 0.1 | -0.1 | -0.7 | -0.9 | -2.5 | 3.4 | -11.4 | 2.5 | -4.5 |
| 2009 | -3.3 | 0.7 | 0.8 | 0.2 | 3.6 | 1.2 | 0.2 | -1.8 | -3.2 | -2.7 | 2.1 | -0.7 | -3 |
| 2010 | 1.3 | 1.7 | 1.3 | -2.1 | -2.8 | -0.4 | -0.6 | 3.6 | 0.8 | -1.1 | 2.1 | -0.6 | 2.9 |
| 2011 | 2.3 | -1.8 | 0.5 | 0 | -3.2 | 1.7 | -1.1 | -2.3 | -2.3 | -3 | -1.1 | -0.3 | -10.2 |
| 2012 | 1.8 | 0.6 | 0.1 | 0.4 | -2.4 | 2.6 | -0.5 | 0 | -0.6 | 2.1 | -0.1 | 1.7 | 5.9 |
| 2013 | 1 | -0.3 | -2 | -1.7 | -0.7 | 1.1 | 1.4 | -1.4 | 0.4 | 0.1 | 0 | 0.1 | -2.1 |
| 2014 | -0.9 | 0.2 | 0.5 | 0.1 | 0.3 | 1.1 | -0.5 | 0.5 | -1.6 | 0.9 | -1.4 | -0.9 | -1.9 |
| 2015 | -1.5 | -0.2 | 0.3 | 0.1 | 0.1 | 0 | 0.6 | -3.2 | -0.7 | 0.6 | -0.2 | -1.4 | -5.3 |
| 2016 | 0 | 2 | 0.5 | 0.2 | 0.7 | 0.3 | -0.6 | -0.1 | 1.1 | -1.5 | -0.2 | -0.7 | 1.9 |
| 2017 | -0.1 | 2 | 0.5 | -0.5 | 1.3 | 0.5 | 0 | 0.1 | -0.1 | -0.2 | -1.3 | -0.3 | 1.7 |
| 2018 | 0.6 | -0.9 | 1.8 | 0 | 0.6 | 0.5 | -1.3 | 0 | -0.6 | 1.6 | 1.4 | 0.9 | 4.7 |
| 2019 | -0.5 | 0.3 | 1 | -0.7 | -0.3 | 0.4 | -1.6 | 0.4 | -2 | 0.9 | -0.2 | -0.1 | -2.5 |
| 2020 | -2.4 | -2.7 | -6.9 | -2.6 | -0.1 | -0.6 | -0.6 | 1.2 | 0.3 | -0.8 | 0.9 | 0.5 | -13.2 |
| 2021 | 1.7 | 1.9 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-11 20.2 SPY 151. 8.60e-3 -0.0004 0.0429 0.0481 0.138 0.386 0.400 GLD 66.4 0.0068 -0.0255
2 2007-05-14 20.1 SPY 151. -2.20e-3 -0.0028 0.0359 0.0494 0.150 0.372 0.424 GLD 66.3 -0.0026 -0.0289
3 2007-05-15 20.0 SPY 151. 3.00e-4 -0.00120 0.0264 0.0409 0.165 0.363 0.396 GLD 66.5 0.0039 -0.0197
4 2007-05-16 20.1 SPY 152. 6.80e-3 0.00290 0.0307 0.0411 0.171 0.378 0.375 GLD 65.6 -0.0141 -0.0274
5 2007-05-17 20.0 SPY 151. -2.00e-3 0.0115 0.0274 0.0377 0.170 0.375 0.378 GLD 65.1 -0.0082 -0.0142
6 2007-05-18 20.3 SPY 153. 8.70e-3 0.0117 0.0366 0.0473 0.203 0.399 0.383 GLD 65.5 0.0071 -0.014
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
